Presented at GARP's 18th Annual Risk Management Convention | March 2017

This presentation entitled “The Fundamental Review: Implications and Challenges” was given by Dr. Andrew McClelland of Numerix at GARP's 18th Annual Risk Management Convention in New York on March 7th.

The FRTB is both broad and heavy on details. As such, it can be a difficult framework to navigate. This presentation will distill the FRTB proposals into their core elements, and highlight some issues flagged by the industry as particularly challenging.

Numerix Presenter Bio:

Dr. Andrew McClelland, Director, Quantitative Research, Numerix
Andrew McClelland’s quantitative research at Numerix focuses on XVA pricing and hedging, generating counterparty credit risk metrics for structured products, and estimating risk model parameters via time-series estimation. He earned his PhD in finance at the Queensland University of Technology for a thesis on financial econometrics. He considered markets exhibiting crash feedback, option pricing for such markets, and parameter estimation for such markets using particle filtering methods. Dr. McClelland’s work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

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